lgarch: Simulation and Estimation of Log-GARCH Models

Simulation and estimation of univariate and multivariate log-GARCH models. The main functions of the package are: lgarchSim(), mlgarchSim(), lgarch() and mlgarch(). The first two functions simulate from a univariate and a multivariate log-GARCH model, respectively, whereas the latter two estimate a univariate and multivariate log-GARCH model, respectively.

Author
Genaro Sucarrat
Date of publication
2015-09-15 19:46:40
Maintainer
Genaro Sucarrat <genaro.sucarrat@bi.no>
License
GPL-2
Version
0.6-2
URLs

View on CRAN

Man pages

coef.lgarch
Extraction methods for 'lgarch' objects
coef.mlgarch
Extraction methods for 'mlgarch' objects
gdiff
Difference a vector or a matrix, with special treatment of...
glag
Lag a vector or a matrix, with special treatment of zoo...
lgarch
Estimate a log-GARCH model
lgarchObjective
Auxiliary functions
lgarch-package
Simulation and estimation of log-GARCH models
lgarchSim
Simulate from a univariate log-GARCH model
mlgarch
Estimate a multivariate CCC-log-GARCH(1,1) model
mlgarchObjective
Auxiliary functions
mlgarchSim
Simulate from a multivariate log-GARCH(1,1) model
rmnorm
Random number generation from the multivariate normal...

Files in this package

lgarch
lgarch/src
lgarch/src/lgarch.cpp
lgarch/NAMESPACE
lgarch/NEWS
lgarch/R
lgarch/R/lgarchSim.R
lgarch/R/fitted.mlgarch.R
lgarch/R/logLik.mlgarch.R
lgarch/R/gdiff.R
lgarch/R/lgarch-internal.R
lgarch/R/vcov.mlgarch.R
lgarch/R/print.lgarch.R
lgarch/R/rss.R
lgarch/R/coef.mlgarch.R
lgarch/R/rmnorm.R
lgarch/R/logLik.lgarch.R
lgarch/R/mlgarchObjective.R
lgarch/R/mlgarchSim.R
lgarch/R/mlgarchRecursion1.R
lgarch/R/residuals.mlgarch.R
lgarch/R/lgarchObjective.R
lgarch/R/fitted.lgarch.R
lgarch/R/glag.R
lgarch/R/summary.lgarch.R
lgarch/R/vcov.lgarch.R
lgarch/R/residuals.lgarch.R
lgarch/R/lgarchRecursion1.R
lgarch/R/summary.mlgarch.R
lgarch/R/mlgarch.R
lgarch/R/print.mlgarch.R
lgarch/R/lgarch.R
lgarch/R/coef.lgarch.R
lgarch/MD5
lgarch/DESCRIPTION
lgarch/man
lgarch/man/lgarch.Rd
lgarch/man/mlgarchObjective.Rd
lgarch/man/rmnorm.Rd
lgarch/man/lgarchObjective.Rd
lgarch/man/lgarchSim.Rd
lgarch/man/coef.mlgarch.Rd
lgarch/man/mlgarch.Rd
lgarch/man/glag.Rd
lgarch/man/lgarch-package.Rd
lgarch/man/mlgarchSim.Rd
lgarch/man/gdiff.Rd
lgarch/man/coef.lgarch.Rd